KOSPI 200 Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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How returns affect tomorrow's illiquidity

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	15.8565
αARCH	0.4479
βGARCH	0.4491

γ₁	18.7879
γ₂	2.6339
γ₃	-29.4316
γ₄	-2.8249
γ₅	1.4964
γ₆	20.0210
γ₇	3.3336
γ₈	-8.0407
γ₉	-44.4933
γ₁₀	60.7192

Parameter	Value	t-statistic
ω const Unconditional variance weight	15.8565
α ARCH Response to squared shocks	0.4479
β GARCH Volatility persistence	0.4491

γ₁	18.7879
γ₂	2.6339
γ₃	-29.4316
γ₄	-2.8249
γ₅	1.4964
γ₆	20.0210
γ₇	3.3336
γ₈	-8.0407
γ₉	-44.4933
γ₁₀	60.7192

V-Lab

Pusan Cast Iron Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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